Why Canada may need to revisit term Corra methodology

Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply

When Canada began the process of reforming its legacy interest rate benchmark – the Canadian dollar offered rate, or CDOR – it was widely expected to follow the blueprint used to transition the US market away from Libor. 

And it has – with one major twist.

The most striking difference is the official acceptance of interdealer trading in derivatives referencing a term version of the replacement risk-free rate – the Canadian overnight repo rate average, or Corra. 

The US authorities placed strict

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here